Фискальная политика в условиях угрозы двойного кризиса
When central bank abandons fixed exchange rate, it creates a threat of default, since government external debt increases. In this situation fiscal authorities make strategic decision whether to default and finance its government purchases only through tax revenues and seigniorage or to pay government debt. In order to explain government’s choice we build stylized model, where fiscal authorities compare social welfare from these strategies. The main difference of our model from the existing literature is that we consider government’s choice of optimal seigniorage. Seignioarage gives government an incentive to declare a default, since in case of default benevolent government can use seigniorage to finance government spending and increase utility of households. Analysis of the model shows, that even when foreign investors completely trust a government, at a certain level of total factor productivity and initial debt government can declare a default when central bank abandons fixed exchange rate. We show that incentives to default are higher in countries with low factor productivity and high level of initial debt. This result is illustrated by examples of currency crises in Mexico 1994-1995, Argentina 2001-2002 and Turkey 2000-2001.
A significant limitation of the model presented in the work is the modeling of the behavior of foreign investors who consider the probability of a government default equal to zero. Introducing endogenous expectations of foreign investors, which hold government bonds, can help to explain a twin crisis as a self-fulfilling prophecies crisis and explain factors, which influence choice of government in case of devaluation.